Steinbacher, Matjaz (2009): What is the “value” of value-at-risk in a simulated portfolio decision-making game?
Download (748kB) | Preview
In the paper, I simulate the social network games of a portfolio selection where agents consider VaR when managing their portfolios. Such agents behave quite differently from the agents considering only the expected returns of the alternatives that are available to them in time. The level of omniscience of agents and the presence of liquidity agents are demonstrated to be significant factors for the portfolio management.
|Item Type:||MPRA Paper|
|Original Title:||What is the “value” of value-at-risk in a simulated portfolio decision-making game?|
|Keywords:||social networks; portfolio decision-making; stochastic finance; Value-at-Risk|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions
G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
Z - Other Special Topics > Z1 - Cultural Economics ; Economic Sociology ; Economic Anthropology > Z13 - Economic Sociology ; Economic Anthropology ; Social and Economic Stratification
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games ; Evolutionary Games ; Repeated Games
|Depositing User:||Matjaz Steinbacher|
|Date Deposited:||08. Mar 2009 14:43|
|Last Modified:||20. Feb 2013 20:39|
Hirshleifer, Daniel (2001). “Investor Psychology and Asset Pricing.” Journal of Finance 56(4): 1533-1597.
Jorion, Philippe (2006). Value at Risk: The New Benchmark for Managing Financial Risk. New York: McGraw-Hill.
Kahneman, Daniel, and Amos Tversky (1979). “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 47(2): 263-291.
Markowitz, Harry (1952). “Portfolio Selection.” Journal of Finance 7(1): 77-91.
Simon, Herbert (1997). Models of Bounded Rationality. Cambridge: MIT Press.
Steinbacher, Matjaz (2008a). “Evolutionary Portfolios through the Small World Network.” FSI Working Paper 5. http://ssrn.com/abstract=1160412.
Steinbacher, Matjaz (2008b). “Knowledge, Preferences, and Shocks in a Portfolio Analysis.” Working Paper. http://ssrn.com/abstract=1317319.
Steinbacher, Matjaz (2009a). “Acceptable Risk in a Portfolio Analysis.” Working Paper. http://ssrn.com/abstract=1320993.
Steinbacher, Matjaz (2009b). “The Role of Liquidity Individuals in the Decision-Making.” Working Paper. http://ssrn.com/abstract=1336151.
Thaler, Richard (1980). “Toward a Positive Theory of Consumer Choice.” Journal of Economic Behavior and Organization 1(1): 39-60.
Tversky, Amos, and Daniel Kahneman (1991). “Loss Aversion in Riskless Choice: A Reference-Dependent Model.” Quarterly Journal of Economics 106(4): 1039-1061.
Watts, Duncan, and Steven Strogatz (1998). “Collective Dynamics of Small World Networks.” Nature 393(4): 440-442.